Best resources for macro rates trading
I trade rates vol, mostly systematic/RV, and am trying to get better at forming longer horizon macro views, say 6-18 months, and expressing them in rates.
I’m comfortable with the basic mechanics like curve construction, forwards, carry/roll, swaps/options, etc. I’ve read Understanding the Yield Curve. What I don’t have a great feel for is how experienced macro/rates traders go from a view on growth, inflation, Fed policy, fiscal/supply, etc. to an actual view on duration and the curve.
How do you think about whether a change in the macro outlook should show up mostly in the expected policy path or further out the curve? How do you judge how much is already priced?
I’m currently reading Trading Global Macro Markets by Willer/Saunders. I’ve also come across Jha’s Interest Rate Markets but haven’t read it yet.
Any books, papers, old sell-side research, blogs, etc. that are particularly good for developing this kind of intuition? Not really looking for more bond math or derivatives pricing.
You can read as much as you'd like. There are plenty of resources and I mentioned several in a previous post.
Understanding areas of expressions consistent with your view is a specific source of alpha. You can mechanically learn to associate certain monetary and fiscal developments with sectors of the curve, but this is not academic and comes via repetition in the market through a number of cycles or incidents.
In terms of judging how much is priced in -- the same logic that applies for Fed meeting dates extends out the entire curve. There are different methods which can be applied to develop fair value models for 5y, 10y, 30y rates, but I find it best, when beginning, to focus on STIR and induce outward from there. Global STIR markets have been incredibly ripe with opportunity this year, and will continue to provide opportunity.
Consequently I recommend starting with 3M RFR strips and observing repricing through macroeconomic data and central bank meetings. It is in those forwards where you can see how the market digests marginal information, and where this information is propagated along the curve.
From here, the next area to refine is your understanding of what drives the 2s5s curve (and their respective forwards). And then 5s10s. And then 10s30s. This then extends to curve flies (5s10s30s). No curve move is necessarily the same -- the movements we have seen in 2026 have had drastically different drivers from years prior in this decade.
That is where talent thrives. In developing the ability to figure out (1) what is priced into the curve, (2) how the curve might reprice under certain catalysts, and (3) determining whether there are any trades which look attractive given (1) and (2). This skillset is developed through analysis, but also via repetition in the market and having a strong intuition given years of digesting moves along the curve, what the market is trying to communicate to you.
Two strong cases studies this year would be the curve move in US rates out of the July FOMC and the move out of Warsh's Jackson Hole speech. The catalyst path for each is unique and in many respects the other side of the same question the market has been digesting all year.
Thanks for the detailed reply. I tried working through the two cases you mentioned, but I worry my understanding is still fairly shallow.
I’m looking at fixed-date SOFR implied curves before and after each event, including where the prior FOMC meeting priced, along with 2y3y, 5y5y, and 10y20y forwards.
My rough read of the July FOMC is that the lack of a hike took some tightening out of the near-term curve. Warsh’s point that financial conditions had already tightened through market pricing suggested he was comfortable waiting to see how that tightening fed through. The long end sold off more, which I interpreted as concern that this reaction function might ultimately be insufficient to contain inflation.
At Jackson Hole, he instead suggested that financial conditions were not yet sufficiently restrictive and that more work might be necessary. The market added roughly 30% to the probability of a September hike, but also priced roughly another 30% of a hike further out. My interpretation is that this wasn’t just bringing the next hike forward, but increasing the probability of a more substantial hiking cycle. I would also have expected that to push payer skew higher in the top left, since the right tail of the policy-rate distribution should have widened. Meanwhile, the long end was roughly unchanged.
Is this roughly the right way to decompose these moves, or am I still thinking about them too much at a headline level? In particular, what would you be looking at or asking yourself to get from this kind of description to a deeper understanding of what the curve is actually communicating?
If I can refine the process, I’d like to go back through the major economic releases and FOMCs from the last couple of years and study how the different forwards reacted. I want to make sure I’m doing that in a way that actually builds intuition rather than just constructing narratives after the fact.
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